Approach for a Cheese material with SSS in Cycles?
You're right, SSS is what you want.

An SSS shader is pretty much it as far as the base shader goes, but a few textures and some diffuse shading for the scratches won't go amiss: 



Also make sure the rind is a separate manifold mesh (i.e has a surface on the side against the cheese). Otherwise, light which should be blocked by the rind will enter the cheese material and get scattered out, giving a rather unconvincing transition without any darkening: 



Cheese material:



Note the scattering radius values. These were just guessed at with some eyeballing, so you may want to play with them a bit to get the effect you want. 

The control how far red, green, and blue light can be scattered, with the top value being red and the bottom being blue.

The sharpness and texture blur on the SSS node are both 0.